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Impact of U.S. Monetary Policy on Bond Spreads in Emerging Market Economies: A Comprehensive Analysis

Marquez Rojas, Jesus LU (2023) NEKP01 20231
Department of Economics
Abstract
This paper examines the impact of U.S. monetary policy on sovereign bond spreads in emerging market economies under the period of Unconventional Monetary Policy (UMP). Applying a Fixed effects and Pooled Mean Group method on monthly data from 2009-2020 it shows evidence that changes in spreads can be attributed to an elevated probability of emerging markets being unable to repay loans, arising from shifts in liquidity conditions resulting from monetary policy actions implemented in the U.S. The results are heterogenous across different economies, contingent upon their unique macroeconomic and financial characteristics. It is imperative for central banks to consider these characteristics when formulating and implementing UMP to attain the... (More)
This paper examines the impact of U.S. monetary policy on sovereign bond spreads in emerging market economies under the period of Unconventional Monetary Policy (UMP). Applying a Fixed effects and Pooled Mean Group method on monthly data from 2009-2020 it shows evidence that changes in spreads can be attributed to an elevated probability of emerging markets being unable to repay loans, arising from shifts in liquidity conditions resulting from monetary policy actions implemented in the U.S. The results are heterogenous across different economies, contingent upon their unique macroeconomic and financial characteristics. It is imperative for central banks to consider these characteristics when formulating and implementing UMP to attain the desired outcomes and address specific challenges in each context. (Less)
Please use this url to cite or link to this publication:
author
Marquez Rojas, Jesus LU
supervisor
organization
course
NEKP01 20231
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Unconventional Monetary Policy, Emerging Economies, Sovereign spreads.
language
English
id
9134862
date added to LUP
2023-09-04 09:08:34
date last changed
2023-09-04 09:08:34
@misc{9134862,
  abstract     = {{This paper examines the impact of U.S. monetary policy on sovereign bond spreads in emerging market economies under the period of Unconventional Monetary Policy (UMP). Applying a Fixed effects and Pooled Mean Group method on monthly data from 2009-2020 it shows evidence that changes in spreads can be attributed to an elevated probability of emerging markets being unable to repay loans, arising from shifts in liquidity conditions resulting from monetary policy actions implemented in the U.S. The results are heterogenous across different economies, contingent upon their unique macroeconomic and financial characteristics. It is imperative for central banks to consider these characteristics when formulating and implementing UMP to attain the desired outcomes and address specific challenges in each context.}},
  author       = {{Marquez Rojas, Jesus}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Impact of U.S. Monetary Policy on Bond Spreads in Emerging Market Economies: A Comprehensive Analysis}},
  year         = {{2023}},
}